0483082 20240103215145.220171212235959.9 000455325300063 10 s. E cav_un_epca*0475085978-80-87990-12-4636-645SlanýMelandrium2017LösterT.PavelkaT. heteroscedasticity robust statistics regression diagnostic tools economic data cav_un_auth*0345793 Kalina Jan UTIA-B Stochastická informatika Department of Stochastic Informatics SI SI Department of Stochastic Informatics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0353498 Peštová B. CZ http://library.utia.cas.cz/separaty/2017/SI/kalina-0483082.pdf cav_un_auth*0345381 GA17-07384S GA ČR The paper is devoted to the least weighted squares estimator, which is one of highly robust estimators for the linear regression model. Novel permutation tests of heteroscedasticity are proposed. Also the asymptotic behavior of the permutation test statistics of the Goldfeld-Quandt and Breusch-Pagan tests is investigated. A numerical experiment on real economic data is presented, which also shows how to perform a robust prediction model under heteroscedasticity. Theoretical results may be simply extended to the context of multivariate quantiles cav_un_auth*0346895 International Days of Statistics and Economics /11./ 20170914 20170916 Prague CZ BB 10000 10100 10103 2018 UIVT-O 10000 10100 10103 PR RVO:67985556 http://hdl.handle.net/11104/0278495 S RIV/67985556:_____/17:00483082!RIV18-AV0-67985556 191975730 Doplnění UT WOS RIV/67985556:_____/17:00483082!RIV18-GA0-67985556 191965058 Doplnění UT WOS n.a. Proceedings Paper Economics n.a. Proceedings Paper Economics n.a. Proceedings Paper Economics 2017 SCOPUS PUBMED 000455325300063 WOS cav_un_epca*0475085 The 11th International Days of Statistics and Economics Conference Proceedings 978-80-87990-12-4 636 645 Slaný Melandrium 2017 Löster T. 340 Pavelka T. 340